I have the same problem. If I use the example page (http://developers.facebook.com/docs/reference/plugins/comments/), the comment is sent to my wall, then how to do the same in the comments field of my application is not, unless I pint them to the Facebook URL.
It works:
<fb:comments href="http://www.facebook.com/any-url/" ></fb:comments>
This is not the case if I do it from my application, but it works if I do it from my site (which really does not help for the purpose that I need)
<fb:comments href="http://www.mysite.com/any-other-url/" ></fb:comments>
source share